How can I set brightness on my LED

If it's simply too bright, that's a hardware problem. Simply increase the value of the current limiting resistor(s) until you're happy with the result.

You do have current limiting resistors on all of your LEDs, right?

If you want software-adjustable brightness use [u]analogWrite()[/u]. Make sure you're connected to pins that support [u]PWM[/u].

See the [u]Fade Example[/u].